摘要
现阶段,有关保险资金持股与资本市场稳定相互关系的讨论多止于推测,少有学者以大样本数据进行实证考察。在理论上,保险资金持股上市公司,一方面可以抑制经理人负面信息隐藏,作为市场“稳定器”降低股价暴跌风险;另一方面,也能引发投资者跟风炒作,导致市场情绪高涨和股价高估,成为股价崩盘风险的“加速器”。本文基于2007—2016年中国沪深两市A股上市公司的数据,实证分析保险资金持股上市公司是否加剧市场暴跌及其作用机制。结果显示:保险资金持股加剧了股价崩盘风险,是公司股价崩盘的“加速器”。这一结论在经过DID模型、工具变量回归、PSM+OLS等内生性分析,以及稳健性检验之后依然成立。进一步研究表明,相比于民营、小型和财产保险公司,在股市投资规模更大的国有、大型和人寿保险公司更能引发市场跟风炒作,加剧股价崩盘风险;不过,当保险资金作为前十大股东参与公司治理时则能够降低股价崩盘风险。本文不仅为保险资金持股与资本市场稳定相互关系的讨论提供了经验证据,也为规范保险资金股权投资,维护资本市场稳定提供有益借鉴。
The relationship between insurance funds entering capital market and the stability of the market has increasingly attracted attention from policymakers,media,and other stakeholders of the listed firms.However,there is little empirical evidence in the existing literature.Theoretically,the investment logic and strategy of insurance funds lead to divergent influences on the corporate stock price crash risk.On the one hand,because of the large scale and stable returns,insurance funds narrow the downward margin and time when the market continues to decline,and form a strong support for the stock market,which decreases corporate stock price crash risk and insurance funds thus become the market“stabilizer”.On the other hand,as the net profit of insurance companies decline due to investment income decrease and the liability reserves increase,the insurance companies are confronted with huge contradiction between assets and liabilities.Under this background,the operation of the insurance funds may become more radical,which will worsen the market information environment,and trigger market speculation.The insurance funds thus become the crash“accelerator”.Which effect will happen remains to be an empirical question.In this paper,we examine these two competing views about the effect of insurance funds entering capital market on the stock price crash risk.Based on China's A-share listed firms during 2007—2016,this paper investigates the impact of insurance funds on corporate stock price crash risk and its mechanism.We find that firms controlled by insurance funds have a higher level of stock price crash risk.The results are consistent with our predictions that the frequent trading by insurance funds leads to the market follow-up,which damage the market information opacity and therefore increase the stock price crash risk.The results support the role of the insurance funds as the“accelerator”of the stock price crash risk,other than the“stabilizer”of the market.This association is robust after a series of robus
作者
夏常源
王靖懿
傅代国
XIA Chang-yuan;WANG Jing-yi;FU Dai-guo(Insurance School,Southwestern University of Finance and Economics,Chengdu,Sichuan,611130,China;Accounting School,Southwestern University of Finance and Economics,Chengdu,Sichuan,611130,China;Western Business School,Southwestern University of Finance and Economics,Chengdu,Sichuan,610074,China)
出处
《经济管理》
CSSCI
北大核心
2020年第4期158-174,共17页
Business and Management Journal ( BMJ )
基金
教育部人文社会科学研究青年项目“信任环境与企业资本结构动态调整研究:作用机理、路径选择与经济后果”(18YJC630202)。
关键词
保险资金运用
股权投资
股价崩盘风险
险资举牌
insurance funds
equity investment
stock price crash risk
acquisition of the significant stake
